Random selection of factors preserves the correlation structure in a linear factor model to a high degree

• Antti J. Tanskanen ,

  Roles Conceptualization, Data curation, Formal analysis, Investigation, Methodology, Project administration, Resources, Software, Validation, Visualization, Writing – original draft, Writing – review & editing

  * E-mail: antti.tanskanen@ek.fi

  Affiliation Confederation of Finnish Industries EK, Helsinki, Finland

  http://orcid.org/0000-0001-9065-0960

  ⨯
• Jani Lukkarinen,

  Roles Conceptualization, Formal analysis, Investigation, Methodology, Validation, Writing – review & editing

  Affiliation Department of Mathematics and Statistics, University of Helsinki, Helsinki, Finland

  http://orcid.org/0000-0002-8757-1134

  ⨯
• Kari Vatanen

  Roles Conceptualization, Data curation, Validation

  Affiliation Varma Mutual Pension Insurance Company, Helsinki, Finland

  ⨯